Traders engaged in the trading of market instruments can utilize computer software and hardware tools that provide various graphical user interfaces to display market price data, execute orders, and monitor status of different market conditions or yields. Market instruments can include anything that can be traded in some quantity for a particular price. For example, a market instrument can be goods or a financial product (e.g., stocks, bonds, futures, currency, commodities, or other financial instruments). Market instruments may be “real” and listed on an exchange or “synthetic,” such as a combination of real products.
Electronic trading of market instruments has been embraced as the means for buying and selling instruments on various market exchanges throughout the world. Traders can communicate with host computers of the market exchanges or other intermediary host computers coupled to the exchanges via personal computer, mobile device, or any other networked computing platform. Electronic trading allows for display of information regarding market instruments received from the host computer, which can impact the decision making process of the trader with regard to placing trade orders.
Types of information that can impact a trader's decision to trade an instrument include the market price for the instrument, the expected volume of the instrument on the market, the trader's limit price, and, generally, the performance of pending or previously executed orders against benchmarks calculated from market data over a period of time. Such benchmarks can include, for example, the volume-weighted average price for the instrument, and the time-weighted average price for the instrument. Conventionally, information regarding market instruments, such as price quotes, is only available through market data dissemination services provided by the various exchanges. Thus, calculating benchmarks and evaluating order execution quality is often limited by the degree of access the user has to market data dissemination services, and the user's ability to extract relevant price data using those services.
The ability to visualize these metrics over time through a graphical user interface can be useful both to traders and their clients in assessing the quality of their investments and informing future order decisions. For example, the quality of a trader's order execution strategy can be assessed against known and historical prices and market trade information.
However, the evaluation of order execution quality using such conventional benchmarks based on market trade information often fails to provide a complete picture. Conventional benchmarks can suffer from contextualization issues, thus causing order performance comparison problems across markets, instruments, order duration, and other factors. Additionally, due to limited access to price quotes and potential for manipulation in calculating the conventional benchmarks, clients may be unable to attain an objective evaluation of order execution quality that captures the total price movement of the market instrument. Accordingly, there is a continued need for improved techniques for evaluating order execution quality.